Deloitte Quant Master Classes “A close look at Market Value-at-Risk”
26 September 2019
Deloitte Luxembourg is delighted to announce the Quantitative Master Class on "A close look at Market Value-at-Risk" on Thursday, 26 September 2019 from 8:45 to 17:30.
The purpose of the Value-at-Risk Quantitative Master Class is to provide you with relevant information on the technical aspects of Value-at-Risk and its various applications for investment funds.
The seminar will cover the detailed features of Value-At-Risk. We will review the history of Value-At-Risk, the general theory behind it, and the various techniques to estimate it. We will also explore together some tips and tricks for implementing this measure, as well as concrete examples of implementation.
The Quantitative Master Class is designed to be highly interactive. You will have direct access to Deloitte’s Quantitative team and the small group discussions throughout each session will allow you to share experiences with your peers.
|8:45 - 9:00||Welcome Coffee|
|9:00 - 9:30||Review of participants' objectives|
|9:30 - 10:45||• History – notions of market risks
• Financial markets’ stylised features
• Theoretical foundations
• VaR definition and limitations
• Use of value-at-risk (market risks, credit risks, portfolio optimization, regulatory disclosure,…)
|10:45 - 11:00||Coffee break|
|11:00 - 12:15||• Dissecting the VaR
• Assessing the risk factors (mapping methodologies)
• Modelling the risk factors (distributions and correlations)
• Parameters estimation: techniques and models (e.g. Garch, EWMA,..)
• Value-at-Risk Methodologies: Historical, Variance-Covariance, semi-parametric, Simulation
• Treatment of derivatives
• Value at risk and copulae
|12:15 - 13:15||Networking lunch|
|13:15 - 15:15||Practical application: Value-at-Risk calculation
|15:15 - 15:30||Coffee break|
|15:30 - 17:30||Practical application: Value-at-Risk backtesting
|17:30 - 18:00||Master Class closure (Final Q&A, Evaluation by participants, Closing Remarks)
Attendance to this event is by invitation only.
The presentation will be held in English.
20 Boulevard de Kockelscheuer